Computational Methods
in Finance and Insurance

Kraków, Poland, June 7-9, 2004

ICCS 2004    Lecture Notes in Computer Science   
Main Square in Kraków

Scope

The aim of this workshop is to bring together researchers, developers and practitioners in order to discuss various aspects of computational methods in finance and insurance. On one hand, the focus will be on numerical, statistical and computer methods of construction and investigation of stochastic models of financial markets and on neural and evolutionary methods for the construction of approximate solutions of stochastic optimization problems such as eg. construction of an optimal investor portfolio or an optimal reinsurance strategy, and on the other hand - to report key advancements and results in the field concerning eg. design and dependency mining in stock market trading systems or rules.


Topics

Suggested topics for submitted papers include, but are not limited to:

  • Computational methods of construction of stochastic models for financial markets
  • Term structure and credit risk modeling
  • Constructive approach to options valuation
  • Optimal stopping time problems and American options valuation, eg. construction of optimal exercise times for complete or uncomplete models of the market
  • Computational methods for construction of optimal portfolio, including Malliavin calculus techniques
  • Modern optimal quantization grids method
  • Neural and evolutionary methods
  • Computational methods for construction of the risk process
  • Optimal reinsurance policy
  • Numerical and statistical approximation of stochastic differential equations with applications in finance
  • Callibration and adjustement of the market model to a real-life data
  • Statistical prediction methods in mathematical finance
  • Software for scientific analysis of financial markets and insurance policies


Submission

Authors are invited to submit high-quality papers describing original, unpublished research or experience. Submitted papers should be at most 8 pages in length. Submission must adhere to the Springer-Veriag instructions for authors. Use of LaTeX2e is strongly recommended. All papers must be written in English and will be reviewed by members of the Program Committee. Submission implies the willingness of at least one of the authors to register and present the paper at the workshop.

Accepted papers will be printed in the conference proceedings published by Springer-Verlag in the Lecture Notes in Computer Science series. A selected number of papers will also be published in special issues of appropriate journals. In order to comply with the publisher's requirements, authors of accepted papers will be asked to provide all source files (e.g. LaTeX2e files for text and EPS files for figures), and the PDF version of the paper, if possible.

Please submit your paper by the deadline via e-mail to janicki@math.uni.wroc.pl. Confirmation will be e-mailed to you within 72 hours of submission.


Important Dates

Full paper due: January 11, 2004
Notification of acceptance: February 1, 2004
Camera-ready papers due: February 15, 2004
Early registration: March 15, 2004


Location

The workshop will be held in conjunction with the ICCS 2004 conference in Kraków, Poland. Kraków is one of the oldest and most beautiful cities in Europe, and one of the leading academic, cultural and tourist centers of Poland (the academic community, with 10,000 scientists and 120,000 students, makes up 18% of Kraków's population).

City guides

Conference venue

More info

Wawel Castle, Cloth Hall, Slowacki Theater, and Main Square in Kraków

Registration, accommodation, etc.

The workshop will be held in conjunction with the ICCS 2004 conference. There is no separate registration - conference attendees are eligible to participate in the workshop sessions. Workshop organizers do not provide separate accommodation. Please refer to the main conference page for details.


Workshop Organization

Organizing Committee

  • Aleksander Janicki, University of Wroclaw, Poland
  • Monique Jeanblanc, University d'Evry, France
  • Piotr S. Kokoszka, Utah State University, USA
  • Jerzy J. Korczak, University Louis Pasteur, France
  • Andrzej Palczewski, University of Warsaw, Poland
  • Eckhard Platen, University of Technology, Sydney, Australia
  • Svetlozar T. Rachev, University of California, Santa Barbara, USA
  • Jan Rosinski, University of Tennesee, Knoxvile, USA
  • Marek Rutkowski, Warsaw University of Technology, Poland
  • Gennady Samorodnitsky, Cornell University, USA
  • Leszek Slominski, University of Torun, Poland
  • Wojciech Szatzschneider, Universitat Anahuac, Mexico
  • Gilles Teyssiere, NBG Bank, France
  • Edward Tsang, University of Essex, UK
  • Wojbor W. Woyczynski, CWRU, Cleveland, USA


Last updated: 29 Nov 2003